removing <li> from menu items in classic themes

hello, I am currently using the Classic theme and in the menu bar, I see that my “category” items are included using <?php _e(‘Categories’); ?> to show the items.

I would like to modify these items so that they do not have<li></li>
around them, so they do not have indents. I’ve already used CSS to get rid of the indents but it seems that IE does not eliminate the indent.